Goldman Sachs launches opportunistic block liquidity strategy

Goldman Sachs Electronic Trading has launched BlockStrike, a strategy that provides clients with the ability to simultaneously search for block liquidity in non-displayed liquidity pools while working an order using an algorithm's existing logic.

Goldman Sachs Electronic Trading (GSET) has launched BlockStrike, a strategy that provides clients with the ability to simultaneously search for block liquidity in non-displayed liquidity pools while working an order using an algorithm's existing logic.

“In the past, traders had to decide whether to commit their order to an algorithm or try to negotiate a block in a dark pool,” said Greg Tusar, managing director and co-head of GSET. “With BlockStrike, our clients now have the ability to accomplish both at the same time – and all they have to do is to check a box.”

BlockStrike will add opportunistic dark posting behaviour to Goldman Sachs' algos, allowing clients to seek block executions while using its participate, volume weighted average price and trade weighted average price strategies, based on their trading objectives.

When using BlockStrike with the firm's Sonar algo, which aggregates liquidity across public and dark venues, and Sonar Dark, which aggregates liquidity across multiple dark venues and hidden liquidity on displayed venues, orders sent to dark pools will be converted to only post dark blocks.

A standard block is defined by Goldman Sachs as an order of 10,000 shares or of US$200,000 in value, but these values can be customised.

As well as external dark pools, BlockStrike will simultaneously place a contingent order with a block-sized minimum execution in SIGMA X, GSET's US non-displayed alternative trading system that matches buyers and sellers anonymously. According to Goldman Sachs, SIGMA X crosses an average of 125 million shares crossed each day on a single-counted basis, with over 13% of executions regarded as block trades.

“We already have significant block liquidity existing in SIGMA X,” said Todd Lopez, managing director and co-head of Americas sales for GSET. “BlockStrike will help clients access this liquidity without requiring a change to their workflow or risk over-execution.”